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EMPIRICAL EVIDENCE ON DICKEY‐FULLER‐TYPE TESTS
Author(s) -
Agiakloglou C.,
Newbold P.
Publication year - 1992
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1992.tb00121.x
Subject(s) - mathematics , autoregressive model , econometrics , type (biology) , series (stratigraphy) , unit root , augmented dickey–fuller test , statistics , unit root test , component (thermodynamics) , star model , autoregressive integrated moving average , time series , cointegration , ecology , paleontology , physics , biology , thermodynamics
. The empirical performance of tests of the Dickey–Fuller type for unit autoregressive roots in the generating model of a time series is studied. In particular, the case where the true generating model structure is unknown and may involve a substantial moving‐average component is examined.